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paper diff3 ACF WLH

*The author of this computation has been verified*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 27 Dec 2009 08:41:15 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/27/t1261928526hq2q14k0osxmspl.htm/, Retrieved Sun, 27 Dec 2009 16:42:08 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2009/Dec/27/t1261928526hq2q14k0osxmspl.htm/},
    year = {2009},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2009},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

401 394 372 334 320 334 400 427 423 395 373 377 391 398 393 375 371 364 400 406 407 397 389 394 399 401 396 392 384 370 380 376 378 376 373 374 379 376 371 375 360 338 352 344 330 334 333 343 350 341 320 302 287 304 370 385 365 333 313 330 367

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.073365	0.434	0.333464
2	-0.114973	-0.6802	0.250429
3	-0.441705	-2.6132	0.006567
4	-0.333143	-1.9709	0.028342
5	-0.028047	-0.1659	0.434585
6	0.268225	1.5868	0.060771
7	0.331048	1.9585	0.029089
8	-0.074313	-0.4396	0.331449
9	-0.189078	-1.1186	0.135465
10	-0.191116	-1.1307	0.132944
11	0.216943	1.2834	0.103884
12	0.002228	0.0132	0.494778
13	0.185431	1.097	0.140061
14	-0.043541	-0.2576	0.399116
15	-0.253685	-1.5008	0.071185
16	0.02041	0.1207	0.452291
17	-0.000577	-0.0034	0.498647
18	0.206041	1.219	0.115507
19	-0.051737	-0.3061	0.380678
20	-0.037047	-0.2192	0.413893
21	-0.148575	-0.879	0.192704
22	-0.033433	-0.1978	0.422175
23	0.076952	0.4553	0.325869
24	0.117369	0.6944	0.246018
25	0.070808	0.4189	0.338923
26	-0.058291	-0.3449	0.366133
27	-0.003175	-0.0188	0.492559
28	-0.159933	-0.9462	0.175272
29	0.061579	0.3643	0.358911
30	-0.043924	-0.2599	0.398247
31	0.058574	0.3465	0.36551
32	-0.006552	-0.0388	0.484651
33	0.022408	0.1326	0.447646
34	0.001463	0.0087	0.496571
35	NA	NA	NA
36	NA	NA	NA
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.073365	0.434	0.333464
2	-0.121007	-0.7159	0.239405
3	-0.431988	-2.5557	0.007549
4	-0.373876	-2.2119	0.016798
5	-0.211002	-1.2483	0.110103
6	-0.051713	-0.3059	0.380732
7	0.036895	0.2183	0.414242
8	-0.290107	-1.7163	0.047474
9	-0.247729	-1.4656	0.075844
10	-0.129322	-0.7651	0.224677
11	0.298602	1.7666	0.043012
12	-0.196531	-1.1627	0.126411
13	-0.064259	-0.3802	0.353062
14	0.076277	0.4513	0.327292
15	-0.063756	-0.3772	0.354156
16	0.236597	1.3997	0.085198
17	-0.062382	-0.3691	0.357154
18	0.023501	0.139	0.44511
19	-0.008242	-0.0488	0.480693
20	0.007196	0.0426	0.483143
21	-0.029872	-0.1767	0.430371
22	-0.158791	-0.9394	0.176977
23	-0.019838	-0.1174	0.453622
24	-0.181776	-1.0754	0.144776
25	-0.052152	-0.3085	0.379751
26	0.07522	0.445	0.329526
27	-0.087077	-0.5152	0.304842
28	-0.072209	-0.4272	0.335927
29	-0.0476	-0.2816	0.389951
30	-0.050036	-0.296	0.384484
31	0.035281	0.2087	0.417937
32	-0.10697	-0.6328	0.265475
33	-0.014864	-0.0879	0.465213
34	-0.15658	-0.9263	0.180306
35	NA	NA	NA
36	NA	NA	NA
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261928526hq2q14k0osxmspl/17b561261928473.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261928526hq2q14k0osxmspl/17b561261928473.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261928526hq2q14k0osxmspl/2rej91261928473.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261928526hq2q14k0osxmspl/2rej91261928473.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 2 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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